SANM Options History — August 2009

In August 2009, SANM traded between $3.78 and $5.10. ATM implied volatility averaged 71.9%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded below realized volatility by 30.8% (HV 20d: 102.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 10 trading days. Put/call ratio averaged 0.00.

Notable Days

  • 2009-08-07: Highest Volume — 37 contracts
  • 2009-08-11: Largest IV drop — 14.4% change
  • 2009-08-10: Highest IV Rank — 13.9%
  • 2009-08-10: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.49$3.78$5.10$3.84$4.80
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV71.9%64.5%79.0%75.7%66.3%
Expected Move20.6%18.5%22.7%21.7%19.0%
HV 20d102.7%85.4%114.6%92.9%114.6%
HV 60d105.4%101.4%107.0%103.6%107.0%
IV Rank9.7%5.0%13.9%12.7%6.1%
IV Percentile12.9%5.7%19.1%16.3%6.9%
Bid-Ask Spread %142.62127.32147.16146.71147.16
Net GEX00000
Net DEX10.8K9.1K12.3K9.3K11.6K
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume4.803700
Total OI765.4745779745779

Daily Data (10 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$3.84$15.0075.7%21.7%92.9%12.7%0.0%0.0%0.0%09.3K00.000.000072124
2009-08-04$3.84$15.0076.0%21.8%85.4%12.8%0.0%0.0%0.0%09.3K00.000.000072124
2009-08-05$3.78$15.0077.0%22.1%86.3%12.7%0.0%0.0%0.0%09.1K00.000.000072124
2009-08-06$4.38$15.0069.4%19.9%96.1%8.0%0.0%0.0%0.0%010.6K00.000.0011072124
2009-08-07$5.10$15.0076.0%21.8%105.1%12.1%0.0%0.0%0.0%012.3K00.00146.7137075524
2009-08-10$4.92$15.0079.0%22.7%107.6%13.9%0.0%0.0%0.0%011.9K00.00141.180075524
2009-08-11$4.62$15.0067.7%19.4%113.2%7.0%0.0%0.0%0.0%011.2K00.00146.190075524
2009-08-12$4.92$15.0064.5%18.5%111.5%5.0%0.0%0.0%0.0%011.9K00.00147.160075524
2009-08-13$4.68$15.0067.4%19.3%114.6%6.8%0.0%0.0%0.0%011.3K00.00127.320075524
2009-08-14$4.80$15.0066.3%19.0%114.6%6.1%0.0%0.0%0.0%011.6K00.00147.160075524